Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0426 |
| Annualized Std Dev | 0.2259 |
| Annualized Sharpe (Rf=0%) | -0.1887 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3894.0000 |
| NAs | 1.0000 |
| Minimum | -0.1939 |
| Quartile 1 | -0.0050 |
| Median | 0.0008 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0059 |
| Maximum | 0.1270 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0142 |
| Skewness | -1.2846 |
| Kurtosis | 23.4613 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0131 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.7281 |
| Historical VaR (95%) | -0.0201 |
| Historical ES (95%) | -0.0369 |
| Modified VaR (95%) | -0.0215 |
| Modified ES (95%) | -0.0398 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-03-13 | 2020-03-18 | NA | -0.7281 | 3532 | 3278 | NA |
| 2005-10-13 | 2005-12-27 | 2006-12-11 | -0.1678 | 293 | 52 | 241 |
| 2007-01-03 | 2007-03-05 | 2007-03-12 | -0.0315 | 47 | 42 | 5 |
| 2006-12-20 | 2006-12-20 | 2006-12-29 | -0.0221 | 7 | 1 | 6 |
| 2006-12-12 | 2006-12-12 | 2006-12-14 | -0.0055 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0 | 0.6 | 0.4 | 0.9 |
| 2006 | 0 | 0.9 | -0.4 | 0.8 | 1.4 | 0.6 | 0.1 | 0.2 | 0.8 | -0.5 | 0 | 0.4 | 4.2 |
| 2007 | -0.4 | -1.4 | 0.1 | 1 | 0.5 | 0.3 | -0.6 | 1.2 | 0.7 | -1.2 | 2 | 1.5 | 3.4 |
| 2008 | 0.9 | -1.7 | 2.5 | 1 | 1.4 | 1 | -0.9 | -0.1 | 2.6 | 2.9 | -8 | 3.7 | 4.7 |
| 2009 | -0.7 | -3.2 | 2.2 | 2 | 2.6 | 0.8 | 0.7 | -0.6 | -2.1 | -3.5 | 1 | -0.6 | -1.6 |
| 2010 | 1.5 | 0.2 | 1.6 | -1.3 | -0.6 | -1.7 | 1.2 | 2 | -0.4 | -0.2 | 1.4 | 0.1 | 3.8 |
| 2011 | 2 | -0.5 | 0.3 | 0.2 | -0.8 | 0.2 | 0.4 | -0.6 | -2.6 | -3.1 | 0.5 | 0.9 | -3.2 |
| 2012 | 1.2 | 0.9 | 0.2 | 0.3 | -1.7 | 2 | 0.4 | 0.6 | 0.4 | 1.1 | -0.3 | 0.4 | 5.5 |
| 2013 | 0.4 | 0.2 | -0.1 | -0.6 | -1.7 | 1.2 | 0.8 | -0.3 | 1.6 | 0 | -0.5 | -0.2 | 0.7 |
| 2014 | -0.3 | 0.2 | 0.5 | 0.3 | 0.4 | 1 | -0.8 | 0.1 | -1 | 0.9 | -1.1 | -2.6 | -2.5 |
| 2015 | 0.4 | 0.8 | -0.5 | 0.6 | 0.3 | 0.5 | 0.7 | -1.8 | 1.5 | 0 | -1.9 | -0.4 | 0.1 |
| 2016 | -0.7 | 2.5 | 0.3 | 0 | 0.4 | 0.2 | -0.2 | 0.5 | 1 | -0.5 | -1 | -0.3 | 2.2 |
| 2017 | 1.3 | 1.2 | 0 | 0.4 | 0.6 | 0.6 | 0.1 | 0.1 | 0.6 | 0.3 | 0.1 | 0 | 5.5 |
| 2018 | -0.3 | -1 | 1.1 | -0.4 | 1.2 | -0.1 | 0.1 | 0.4 | -0.2 | 1.8 | 1.1 | 1.9 | 5.6 |
| 2019 | -0.2 | 0.3 | 0.5 | 0.1 | -1 | 0.2 | -0.6 | 0.3 | -0.8 | 0.6 | -0.3 | 1.7 | 0.7 |
| 2020 | -1.1 | -3.9 | -6 | -2.2 | 0.7 | 0.3 | -0.3 | 0.3 | 1.1 | -1.7 | 0.6 | 0.6 | -11.2 |
| 2021 | -0.3 | 1.3 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-09-28 20 SPY 122. 0.001 0.0063 -0.0002 0.0154 0.0879 0.470 -0.162 GLD 46.8 1.19e-2 -0.0055
2 2005-09-29 20.0 SPY 123. 0.0081 0.0109 0.0133 0.0292 0.0975 0.500 -0.156 GLD 47.1 6.40e-3 0.016
3 2005-09-30 20 SPY 123. 0.0031 0.0132 0.0038 0.0294 0.0826 0.435 -0.146 GLD 46.7 -8.50e-3 0.0091
4 2005-10-03 20 SPY 123. -0.0036 0.0084 0.0009 0.0175 0.077 0.474 -0.139 GLD 46.4 -6.00e-3 -0.0032
5 2005-10-04 20 SPY 121. -0.0113 -0.0027 -0.0086 0.0146 0.0643 0.473 -0.153 GLD 46.4 6.00e-4 0.0043
6 2005-10-05 20 SPY 120. -0.0131 -0.0168 -0.0329 -0.0027 0.0437 0.481 -0.181 GLD 46.4 -1.90e-3 -0.0094
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
